Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.1569 |
| Annualized Std Dev | 0.1778 |
| Annualized Sharpe (Rf=0%) | 0.8823 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 2875.0000 |
| NAs | 1.0000 |
| Minimum | -0.1154 |
| Quartile 1 | -0.0038 |
| Median | 0.0010 |
| Arithmetic Mean | 0.0006 |
| Geometric Mean | 0.0006 |
| Quartile 3 | 0.0058 |
| Maximum | 0.0930 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0002 |
| UCL Mean (0.95) | 0.0011 |
| Variance | 0.0001 |
| Stdev | 0.0112 |
| Skewness | -0.4349 |
| Kurtosis | 11.5024 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0082 |
| Gain Deviation | 0.0077 |
| Loss Deviation | 0.0092 |
| Downside Deviation (MAR=210%) | 0.0127 |
| Downside Deviation (Rf=0%) | 0.0080 |
| Downside Deviation (0%) | 0.0080 |
| Maximum Drawdown | 0.3076 |
| Historical VaR (95%) | -0.0170 |
| Historical ES (95%) | -0.0273 |
| Modified VaR (95%) | -0.0165 |
| Modified ES (95%) | -0.0309 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2020-02-20 | 2020-03-23 | 2020-06-09 | -0.3076 | 77 | 23 | 54 |
| 2018-10-02 | 2018-12-24 | 2019-04-26 | -0.2242 | 142 | 58 | 84 |
| 2011-07-25 | 2011-10-03 | 2012-01-25 | -0.1606 | 128 | 50 | 78 |
| 2010-04-26 | 2010-07-02 | 2010-10-25 | -0.1586 | 128 | 49 | 79 |
| 2015-12-02 | 2016-02-11 | 2016-07-12 | -0.1262 | 153 | 49 | 104 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | NA | NA | NA | NA | NA | NA | NA | NA | 0.1 | -2.2 | 1.7 | -0.4 | -0.9 |
| 2010 | 1 | 0.7 | 0.3 | -1.3 | -1 | -0.2 | 0 | 2.6 | 0.1 | 0.2 | 2.3 | -0.3 | 4.5 |
| 2011 | 1.5 | -1.5 | 0.3 | 0.2 | -1.8 | 1.4 | -0.2 | -1 | -1.8 | -2.6 | 0.3 | -0.2 | -5.5 |
| 2012 | 0.6 | 0.5 | 0.1 | 0.3 | -2.4 | 2.6 | -0.4 | 0.5 | 0.2 | 1.1 | 0 | 1.8 | 4.9 |
| 2013 | 0.9 | 0.4 | -0.5 | -0.7 | -1.4 | 0.8 | 1.1 | -0.3 | 0.8 | 0.1 | 0.4 | 0.5 | 2.1 |
| 2014 | -0.5 | 0.2 | 0.9 | 0 | 0.4 | 0.9 | -0.4 | 0.2 | -1.4 | 1 | -1 | -1 | -0.7 |
| 2015 | -1.1 | -0.2 | -0.4 | 1.2 | 0.4 | 0.9 | 0.1 | -2.8 | 0.6 | -0.5 | 1.1 | -1.3 | -2.1 |
| 2016 | 0.5 | 2.7 | 1.1 | -0.4 | 0.1 | 0.5 | 0.4 | 0.1 | 0.6 | -0.8 | -0.9 | -0.7 | 3.2 |
| 2017 | 0.3 | 1.4 | 0 | 0.4 | 0.6 | 0.3 | 0.3 | 0 | 0.5 | 0 | -0.3 | -0.4 | 3.1 |
| 2018 | -0.3 | -1.5 | 1.7 | 0.5 | 1.2 | 0.2 | 0.5 | 0.1 | 0.5 | 1.2 | 0.9 | 1.1 | 6.1 |
| 2019 | -0.2 | 0.8 | 1.1 | -0.6 | -1.5 | 0.9 | -0.4 | -0.1 | -0.9 | 0.8 | -0.3 | 0.2 | -0.2 |
| 2020 | -1.7 | 0.2 | -4.4 | -2.6 | 0.5 | 1.5 | 1.9 | 1.4 | 1.1 | -2.2 | 1.3 | 0.3 | -2.7 |
| 2021 | 2.1 | 2.6 | 0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.9 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2009-09-28 25.0 SPY 106. 0.0179 -0.00120 0.0282 0.147 -0.120 -0.204 -0.04 GLD 97.0 0.0005 -0.0133
2 2009-09-30 24.6 SPY 106. -0.0039 -0.0056 0.0305 0.144 -0.0897 -0.210 -0.0559 GLD 98.8 0.0146 0.0002
3 2009-10-01 24.7 SPY 103 -0.0245 -0.0191 0.0279 0.147 -0.112 -0.229 -0.0784 GLD 97.9 -0.0097 0.0035
4 2009-10-02 24.3 SPY 102. -0.005 -0.0188 0.0267 0.141 -0.0837 -0.230 -0.0982 GLD 98.4 0.0049 0.0141
5 2009-10-07 25.0 SPY 106. 0.0027 0.002 0.0278 0.2 0.0577 -0.217 -0.0769 GLD 102. 0.0008 0.0355
6 2009-10-12 25.4 SPY 108. 0.0039 0.0352 0.0278 0.188 0.217 -0.204 -0.0468 GLD 104. 0.007 0.0375
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
